Efficient computation of gradient and hessian of likelihood function in linear dynamic systems

DOI10.1109/TAC.1976.1101359MaRDI QIDQ4101699zbMATH OpenFDO

Authors Narendra K. Gupta

Publication date 1976

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Mathematics Subject Classification ID

Sensitivity (robustness) (93B35) Linear systems in control theory (93C05) Estimation and detection in stochastic control theory (93E10)

Cited in

(2)

• A unified square-root approach for the score and Fisher information matrix computation in linear dynamic systems
• Identification by a combined smoothing nonlinear programming algorithm

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